Yan, Kejia; Gupta, Rakesh; Haddad, Sama - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-44
valuable information contained in the residuals of the models in the context of cumulative return and construct a new … cumulative return gap (CRG) model to overcome the weaknesses of the traditional cumulative abnormal returns (CAR) and buy … (ARDL) model. The empirical results of the study show that the cumulative return (CR) model is better than the simple return …